Term Structure in High Frequency

library(data.table)
library(ggplot2)
library(magrittr)
library(extrafont)
library(scales)
library(fBasics)
library(tseries)
library(plot3D)
library(reshape2)
library(gridExtra)

source('setup.R')

02 - Spectral Analysis

Yields of Interest Rate Futures

for(i in cYieldLobs[-1]){
  series <- termSt[, i, with=FALSE]
  seriesName <- colnames(series)
  plotData <- getSpectrumPlotData(series, title=seriesName)
  print(plotSpectrum(plotData))
}

First Differences of Beta Coefficients

for(i in cBetaDiff[-1]){
  series <- termSt[, i, with=FALSE]
  seriesName <- colnames(series)
  plotData <- getSpectrumPlotData(series, title=seriesName)
  print(plotSpectrum(plotData))
}

Realised Variances of Yields of Interest Rate Futures

for(i in cYieldRV[-1]){
  series <- termSt[, i, with=FALSE]
  seriesName <- names(series)
  plotData <- getSpectrumPlotData(series, title=seriesName)
  print(plotSpectrum(plotData))
}

Realised Variances of Beta Estimates of the DNSM

for(i in cBetaRV[-1]){
  series <- termSt[, i, with=FALSE]
  seriesName <- names(series)
  plotData <- getSpectrumPlotData(series, title=seriesName)
  print(plotSpectrum(plotData))
}

Beta Coefficients of DNSM

series <- termSt[, 'ns_beta1_lobs', with=FALSE]
plotData <- getSWSpectrumPlotData(series, names(series))
plotSWSpectrum(plotData, 'spectogram')

plotSWSpectrum(plotData, 'samples-quants')

plotSWSpectrum(plotData, 'samples-spectra')

plotSWSpectrum(plotData, 'pvals')